| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 13 14 15 16 17 ... 22 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #95581 - Ignore Kevin_in_GA |
8/11/2010 3:54:08 PM Will close out 4 trades at the end of the day today: Longs - STAA and CRR Shorts - ZLC and PXP These are the top winners (the shorts) and the top losers (not surprisingly, the long plays). Will close out at wherever they end up today for a small gain on these four. Will review filter results tonight and probably fill these orders with new trades for Thursday and Friday. |
| Kevin_in_GA 4,599 posts msg #95582 - Ignore Kevin_in_GA |
8/11/2010 4:08:42 PM An interesting paper on Momentum..... via the Woodsheder, who has been known to lurk these boards. Keep up the good work. It might be interesting to you Kevin, he has a blog on I bank coin . com. He build system trading platforms. ++++++++++++++++ I have read the paper already (no, honestly) ... it was one of several that helped me to form the basis of my 401k investment strategy. I had not seen his blog, which I will definitely be reading. The idea of momentum (or relative strength versus the broader market) providing sustained returns over time has been demonstrated in markets all over the world in across many different trading environments and timeframes. While it runs counter to the Efficient Market hypothesis, it nonetheless seems to be real - no reason not to make money from it if you can. |
| Kevin_in_GA 4,599 posts msg #95592 - Ignore Kevin_in_GA modified |
8/11/2010 8:13:14 PM Update - 8/11/2010 LONG plays for this week: ABMD - DOWN 2.82% STAA - DOWN 6.98% (SOLD at the close today) CRR - DOWN 5.73% (SOLD at the close today) ABV - DOWN 1.97% SHORT plays for this week: PXP - UP 7.56% (COVERED today at the close) AUXL - UP 6.51% RGLD - UP 2.58% ZLC - UP 9.71% (COVERED today at the close) Net gain/loss so far this week: +1.11% ($445.27 on a total of $40,000 invested). Net gain/loss so far this week for the SPY: -3.20%. |
| Kevin_in_GA 4,599 posts msg #95599 - Ignore Kevin_in_GA modified |
8/11/2010 10:11:57 PM I am not sure if I will put in any new trades to replace the four exited today – lots of possible long plays, but not a lot of short plays to pair them with. My current thinking is as follows: Potential Long Plays for tomorrow: GET - Gaylord Entertainment IVN – Ivanhoe Mines Ltd and possibly CPX – Complete Production Services (testing a new set of Bollinger Band-based filters for this call) Potential Short Plays: Not a lot to choose from – most of the short plays are actually the 2x inverse ETFs, which would at least be a good thing for the long plays! Anyway, from the stocks that did show up on my composite short filter I would probably choose BAX – Baxter Scientific CYPB – Cypress Biosciences And keep an eye on EMIS – Emisphere (this is from another BB-based filter set I am developing for short plays that gives great results back-testing since 1/1/2007 – about 84% win rate and average return of 3-4% in about 5 days). Frankly it all depends on where the futures and numbers are in pre-market tomorrow. 50/50 chance I'll just let the 4 remaining trades play out as they will. |
| Kevin_in_GA 4,599 posts msg #95615 - Ignore Kevin_in_GA |
8/12/2010 10:16:14 PM Did not open any of the potential trades I listed last night. Probably should have ... Long Plays: GET - Gaylord Entertainment - opened at 26.51, closed at 27.03 (up 1.96%) IVN – Ivanhoe Mines Ltd - opened at 16.49, closed at 16.85 (up 2.18%) CPX – Complete Production Services - opened at 16.80, closed at 17.50 (up 4.17%) Short Plays: BAX – Baxter Scientific - opened at 45.09, closed at 45.80 (down 1.55%) CYPB – Cypress Biosciences - opened at 3.76, closed at 3.85 (down 2.34%) EMIS – Emisphere - opened at 1.30, closed at 1.34 (down 2.98%) Not outstanding, but it would have been profitable to play these 6 (up 0.24% for the day). Anyway, what really happened was this: LONG plays for this week: ABMD - DOWN 4.38% ABV - DOWN 1.38% SHORT plays for this week: AUXL - UP 4.72% RGLD - UP 1.16% Net gain/loss so far this week: +0.59% ($236.40 on a total of $40,000 invested). Net gain/loss so far this week for the SPY: -3.80%. |
| Kevin_in_GA 4,599 posts msg #95629 - Ignore Kevin_in_GA |
8/13/2010 5:03:22 PM Update - 8/13/2010 LONG plays for this week: ABMD - DOWN 3.70% (SOLD at the close today) STAA - DOWN 6.98% (SOLD at the close Wednesday) CRR - DOWN 5.73% (SOLD at the close Wednesday) ABV - DOWN 1.51% (SOLD at the close today) SHORT plays for this week: PXP - UP 7.56% (COVERED at the close Wednesday) AUXL - UP 7.42% (COVERED at the close today) RGLD - UP 2.43% (COVERED at the close today) ZLC - UP 9.71% (COVERED at the close Wednesday) Net gain/loss for this week: +1.16% ($462.67 on a total of $40,000 invested). Net gain/loss so far this week for the SPY: -4.08%. PERFORMANCE TO DATE: 6/28 - 7/02: +6.01% ($2402.35 on an initial $40,000 in 11 trades) 7/06 - 7/09: +4.58% ($1842.88 on an initial $40,000 in 8 trades) 7/12 - 7/16: +1.76% ($706.15 on an initial $40,000 in 16 trades) 7/19 - 7/23: +1.88% ($676.51 on an initial $36,000 in 9 trades) 7/26 - 7/30: +1.10% ($441.47 on an initial $35,000 in 7 trades) 8/02 - 7/06: -0.07%% (-$19.23 on an initial $25,000 in 5 trades) 8/09 - 8/13: +1.16% ($462.67 on an initial $40,000 in 8 trades) Net gain of $6,512.90 or 16.28% ( since 6/28 - no compounding). After taking commissions into account @$8.95 per side, one still netted $5,367.30 or 13.41%. |
| dnigro201 1 posts msg #95660 - Ignore dnigro201 |
8/15/2010 5:17:40 PM Kevin, Is the most current version of these filters the same as 7/12/10 post or have there been modifications? Thanks. |
| Kevin_in_GA 4,599 posts msg #95662 - Ignore Kevin_in_GA |
8/15/2010 6:47:57 PM Kevin, Is the most current version of these filters the same as 7/12/10 post or have there been modifications? Thanks. ++++++++ I am in the process of updating my filters to include some new optimized Bollinger Band strategies, but at the moment no changes have been made to the filters since I posted them. Once the new filters are complete, I'll post them in this thread with an explanation of the changes and why they might be better. |
| Kevin_in_GA 4,599 posts msg #95670 - Ignore Kevin_in_GA |
8/15/2010 10:36:42 PM These trades are using a modified filter that incorporates some new optimized Bollinger Band filters - I am still finalizing these, but the ones used here are statisitcally equal or better to any of the Connors filters (higher return AND higher win percentages). Both the Connors filters and the new BB filters, along with the Z-score, are being used. I'll post an improved version of my filters here as soon as they are fully backtested. Trades for the week of 8/16: Long Plays: PLA NEWP INFN KEM Short Plays: ATHN COT VGZ (this one is a gold miner stock, so it tends to trade opposite of the other shorts - caution) GSK Will buy/short at the open tomorrow, unless the futures are crazy ... |
| Kevin_in_GA 4,599 posts msg #95683 - Ignore Kevin_in_GA |
8/16/2010 3:15:16 PM Kevin_in_GA msg #95599 - Edit message modified 8/11/2010 10:11:57 PM And keep an eye on EMIS – Emisphere (this is from another BB-based filter set I am developing for short plays that gives great results back-testing since 1/1/2007 – about 84% win rate and average return of 3-4% in about 5 days). +++++++ I am probably the only one who actually has kept an eye on EMIS - my filters would have had me in at the open last Thursday at $1.30. Stock is now trading at $1.05 (down -19.2%). These BB shorting filters do well, but do not generate a lot of hits - only this one in the past week. Need to optimze these against a larger set of stocks to see if I can keep the success rate and returns high but increase the frequency of occurance. |
| StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER | << 1 ... 13 14 15 16 17 ... 22 >>Post Follow-up |
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